slaxlw

QUOTE:

以下是引用Osman在2010-6-7 1:33:00的发言：

1、No view,必须hedge  也就是使用forward

2、认为price小范围变动 那么使用collar

3、认为rate朝自己不利方向发展几率很大 那么使用long put

4、认为rate朝自己有利方向发展几率很大 Do nothing

很经典的一道教材上的题

 

是的，我回来还想找这道题但是怎么都找不到了，不在risk mgt那章

slaxlw

QUOTE:

以下是引用xiaoming_bo在2010-6-7 1:32:00的发言：

有一题是一个10月1日到期债务，在4月1日用期货锁定风险，到了7月1日问期货的风险什么的，给了期货价格，无风险利率，现货价格。记不清了，考场上好像不知道怎么下手

a.

b. current ...risk 110000

c. porential...risk 100000

potential risk of 100,000

slaxlw

QUOTE:

以下是引用虫虫飞在2010-6-6 23:30:00的发言：

 

no view我选了buy put at with strike = current exchange rate，因为no views，用option的话at least可以用当前价格，而且不放弃upside gain

 

short butterfly我是说cap on upside potential

 

另外有一题说预期利率上涨，要adjust duration的，问用put option, forward还是swap (pay fixed receive floating)的，看哪个cost least 而且有效的，有印象吗？

swap is the cheapest and will benefit with rising rate

slaxlw

QUOTE:

以下是引用sankwok在2010-6-9 21:21:00的发言：

i had the same problem as you, but when compare corn to gas , it looks like gas is easier to be stored....and there is a similar question from the 2010 sample exam ...that's why i picked corns

agriculture has stable demand and seasonal supply, thus provides poor inflation hedge. 想想08年油价暴涨就好了，天然气和oil是同一属性。

slaxlw

QUOTE:

以下是引用amipang在2010-6-6 23:49:00的发言：

跟你一样的， lower kurtosis, positive skewness

[此贴子已经被作者于2010-6-6 23:49:47编辑过]

positive skewed has large proportion of negative outcomes even with no fat tails. negative skewed has higher proportion of positive data, + none kurtosis, would give the lowest downside deviation.

[此贴子已经被作者于2010-6-9 21:21:43编辑过]

sankwok

QUOTE:

以下是引用amipang在2010-6-9 11:49:00的发言：

我从corn改到了GAS，考虑的就是storage cost。

因为记得good hedge should be storable, but my understanding is that gas is very expensive to store and thus is regarded as non-stroable.

 

难道改错了？

i had the same problem as you, but when compare corn to gas , it looks like gas is easier to be stored....and there is a similar question from the 2010 sample exam ...that's why i picked corns

slaxlw

QUOTE:

以下是引用nkerichu在2010-6-6 23:40:00的发言：

啊？index那个题真的是选最不合适的啊？nnd，又看错题目了

 

 

唉。。。这题我也错了。

slaxlw

QUOTE:

以下是引用Ahwang在2010-6-6 23:29:00的发言：

赞记忆力，，数字都记得那的清楚

 

no view 的我选了买1卖3，这样是形成一个bull spread，因为是no veiw，所以涨点都有可能，上下行的风险都锁定

 

 

还有一道选择题是minimize downside risk

我选了个第一个，，又high又positive的，不知道对不对

negative skewed and none kurtosis

slaxlw

QUOTE:

以下是引用amipang在2010-6-6 23:24:00的发言：

下午的tax答案多少？我好像选了B

PE composite忘记了

no view 的 也选了 forward,因为no view 所以lock current forward price,buy put to bet on price go down, 剩下一个strategy 忘记什么了

Accrual tax rate不能预测未来的 tax change

manager style的忘记了

 

上午有一题考 straddle, profit=8,8*2-9-0.95(option cost)=7.65

breakeven price=X+/-(C+P)=9,95 or 8.05

 

跟其他的比：

put only protect downside yet jocab is unsure about which direction the stock will go

short butterfly: 不确定，我说是因为butterfly involve 3 options so the transaction cost will be higher than straddle

collar: upside will be called away when protecting the downside

short butterfly has limited profit when price has large movement

slaxlw

QUOTE:

以下是引用knightface在2010-6-6 23:02:00的发言：

opportunity cost没有表吧

 i don't think there's template for MTOC.